Nonlinear limits to arbitrage
Nonlinear limits to arbitrage
复制标题
套利的非线性限制
DOI：
10.1002/fut.22320
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发表时间：
2022
影响因子：
1.9
通讯作者：
Chen J
中科院分区：
文献类型：
--
作者：
Chen J
研究了一类模型中套利的非线性极限。当错误定价较小时，套利活动会随着错误定价而增加，因为成本调整后的回报率较高。然而，在高水平的错误定价时，随着融资约束变得更具约束力，仲裁员会被更大的错误定价所吓倒。我们使用马尔可夫转换模型对指数现货-期货套利的模型预测进行了测试，证明了错误定价和套利活动之间的倒U形关系。极端制度的错误定价最大，但套利活动最少，并且与市场动荡同时发生，这表明资金限制成为套利限制背后的主要驱动因素。
We study the nonlinear limits to arbitrage in a model. When mispricing is small, arbitrage activity increases with mispricing because of the higher cost‐adjusted return. However, at high levels of mispricing, arbitrageurs are deterred by larger mispricing as funding constraints become more binding. Testing the model predictions on the index spot‐futures arbitrage with a Markov‐switching model, we document an inverse U‐shaped relationship between mispricing and arbitrage activity. The extreme regime is with the largest mispricing but least arbitrage activity, and coincides with the market turmoil, suggesting that funding constraints become the main driver behind the limit to arbitrage.